This work is concerned with the theory of initial and progressive enlargements of a reference filtration \hbox{$\mathbb{F}$} with a random time τ. We provide, under an equivalence assumption, slightly stronger than the absolute continuity assumption of Jacod, alternative proofs to results concerning canonical decomposition of an \hbox{$\mathbb{F}$}-martingale in the enlarged filtrations. Also, we address martingales’ characterization in the enlarged filtrations in terms of martingales in the reference filtration, as well as predictable representation theorems in the enlarged filtrations
In this paper we study progressive filtration expansions with random times. We show how semimartinga...
The preservation of the semi-martingale property in progressive enlargement of filtrations has been ...
We consider the initial and progressive enlargements of a Brownian filtration with a random time, th...
Let X be a point process and let F denote the filtration generated by X. In this paper we study mart...
We consider the initial and progressive enlargements of a filtration generated by a marked point pro...
AbstractLet M be a purely discontinuous martingale relative to a filtration (Ft). Given an arbitrary...
We consider the initial and progressive enlargements of a filtration generated by a marked point pro...
We study problems related to the predictable representation property for a progressive enlargement G...
In November 2004, M. Yor and R. Mansuy jointly gave six lectures at Columbia University, New York. T...
In this work, for a reference filtration F, we develop a method for computing the semimartingale dec...
In this paper, we consider two kinds of enlargements of a Brownian filtration F: the initial enlarge...
AbstractThe preservation of the semi-martingale property in progressive enlargement of filtrations h...
We present two examples of loss of the predictable representation property for semi-martingales by ...
AbstractIn this paper we transfer martingale representation theorems from some given filtration F to...
Let X and Y be an m-dimensional F-semi-martingale and an n-dimensional H-semi-martingale, respective...
In this paper we study progressive filtration expansions with random times. We show how semimartinga...
The preservation of the semi-martingale property in progressive enlargement of filtrations has been ...
We consider the initial and progressive enlargements of a Brownian filtration with a random time, th...
Let X be a point process and let F denote the filtration generated by X. In this paper we study mart...
We consider the initial and progressive enlargements of a filtration generated by a marked point pro...
AbstractLet M be a purely discontinuous martingale relative to a filtration (Ft). Given an arbitrary...
We consider the initial and progressive enlargements of a filtration generated by a marked point pro...
We study problems related to the predictable representation property for a progressive enlargement G...
In November 2004, M. Yor and R. Mansuy jointly gave six lectures at Columbia University, New York. T...
In this work, for a reference filtration F, we develop a method for computing the semimartingale dec...
In this paper, we consider two kinds of enlargements of a Brownian filtration F: the initial enlarge...
AbstractThe preservation of the semi-martingale property in progressive enlargement of filtrations h...
We present two examples of loss of the predictable representation property for semi-martingales by ...
AbstractIn this paper we transfer martingale representation theorems from some given filtration F to...
Let X and Y be an m-dimensional F-semi-martingale and an n-dimensional H-semi-martingale, respective...
In this paper we study progressive filtration expansions with random times. We show how semimartinga...
The preservation of the semi-martingale property in progressive enlargement of filtrations has been ...
We consider the initial and progressive enlargements of a Brownian filtration with a random time, th...